Hedging electricity price volatility applying seasonal and trend decomposition
Alternative title: | Cobertura de volatilidad del precio de la electricidad aplicando la descomposición estacional y de tendencia |
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Year of publication: |
2022
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Authors: | Ramírez-García, Alfredo ; Saucedo, Eduardo |
Published in: |
Análisis económico. - México, DF : [Verlag nicht ermittelbar], ISSN 2448-6655, ZDB-ID 2218011-4. - Vol. 37.2022, 94, p. 143-166
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Subject: | Seasonal and Trend decomposition using Loess (STL) | Normal InverseGaussian Distribution (NIG) | Electricity Price Forecasting (EPF) | WholesaleElectricity Market (MEM) | Electricity Hedging Valuation | Strompreis | Electricity price | Hedging | Saisonale Schwankungen | Seasonal variations | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Elektrizitätswirtschaft | Electric power industry | Dekompositionsverfahren | Decomposition method | Derivat | Derivative | Prognoseverfahren | Forecasting model |
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